State of Market Prob Year End Price P1 Cash Div HPR Devation From Mean

Excelent 0.25 126.5 4.5 0.31 0.2124

Good 0.45 110 4 0.14 0.0424
Poor 0.25 89.75 3.5 -0.0675 -0.1651
Crash 0.05 46 2 -0.52 -0.6176
Purchase Price 100
Treasury Bill Rate 4% 0.04
Squared Deviation from Mean Excess Returns
0.0451 0.2700
0.0018 0.1000
0.0273 -0.1075
0.3814 -0.5600

Expected Value Mean 0.097625 or 9.76%

Variance of HPR 0.037973421875
Standard Deviation of HPR 0.19486770352
Risk Premium 0.057625 or 5.76%

Variance of Excess Returns

SD of Excess Reurns
SR
Prob HPR
0.25 0.27 0.0675
0.45 0.1 0.045
0.25 -0.1075 -0.026875
0.05 -0.56 -0.028
0.057625
Risk-free rate 5%

Debt Equity
Expected return, E(r ) 8% 13%
Standard deviation, σ 12% 20%
Covariance, Cov(rD, rE) 72
Correlation coefficient, ρDE 0.3
weight_US weight_rf E[r] Variance Standard Deviation
0 1 0.050 0.0000 0.0000
0.1 0.9 0.058 0.0004 0.0200
0.2 0.8 0.066 0.0016 0.0400
0.3 0.7 0.074 0.0036 0.0600
0.4 0.6 0.082 0.0064 0.0800
0.5 0.5 0.090 0.0100 0.1000
0.6 0.4 0.098 0.0144 0.1200
0.7 0.3 0.106 0.0196 0.1400
0.8 0.2 0.114 0.0256 0.1600
0.9 0.1 0.122 0.0324 0.1800
1 0 0.130 0.0400 0.2000
1.1 -0.1 0.138 0.0484 0.2200
1.2 -0.2 0.146 0.0576 0.2400
1.3 -0.3 0.154 0.0676 0.2600
1.4 -0.4 0.162 0.0784 0.2800
1.5 -0.5 0.170 0.0900 0.3000
1.6 -0.6 0.178 0.1024 0.3200
1.7 -0.7 0.186 0.1156 0.3400

Risky and Risk Free Asset

0.200
0.180
0.160
0.140
0.120
0.100
0.080
0.060
0.040
0.020
0.000
00 0 0 0 0 00 00 0 0 00 00 00 00 00 00 00 00 00 00 0 0 00
.00 .02 .04 .06 .08 .10 .12 .14 .16 .18 .20 .22 .24 .26 .28 .30 .32 .34
0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Risky and Risk Free Asset

 Sharpe Ratio
#DIV/0!
0.400
0.400
0.400
0.400
0.400
0.400 A Weight of Equity
0.400 1 3.25
0.400 2 1.63
0.400 3 1.08
0.400 4 0.81
0.400 5 0.65
0.400 6 0.54
0.400 7 0.46
0.400 8 0.41
0.400 9 0.36
0.400 10 0.33
0.400

0 00 00 0 0 00
.28 .30 .32 .34
0 0 0 0
Weight of RF Exp Return SD
-2.25 31.00% 65.00%
-0.63 18.00% 32.50%
-0.08 13.67% 21.67%
0.19 11.50% 16.25%
0.35 10.20% 13.00%
0.46 9.33% 10.83%
0.54 8.71% 9.29%
0.59 8.25% 8.13%
0.64 7.89% 7.22%
0.68 7.60% 6.50%
 Debt Equity
Expected return, E(r ) 8% 13%
Standard deviation, σ 12% 20%
Covariance, Cov(rD, rE) 0.0072
Correlation coefficient, ρDE 0.3

Weight In D Weight In E E(rp)

0% 100% 13.00%
10% 90% 12.50%
20% 80% 12.00%
30% 70% 11.50%
40% 60% 11.00%
50% 50% 10.50%
60% 40% 10.00%
70% 30% 9.50%
80% 20% 9.00%
90% 10% 8.50%
100% 0% 8.00%

Portfolio Returns P
E ( r p )  w D E ( rD )  w E E ( rE )

Risk Free Rate 5%

SD TB 0%

Debt Equity Portfolio Return Risk/SD

Portfolio A 0.82 0.18 8.90% 11.45%
Portfolio B 0.70 0.30 9.50% 11.70%
Portfolio C 0.68 0.32 9.60% 11.78%
MVE Portfolio 0.3999999986 0.60000000138 0.110000000068934 0.141986

14.00%
1; Equity; 13
12.00%
Min Variance Portfolio;
14.00%
1; Equity; 13
12.00%
Min Variance Portfolio;
8.90% MVE;
0.110000000068934
10.00%
C; 9.60% B; 9.50%
Portfolio

8.00% 1; Debt; 8%

6.00%
RF; 5%
4.00%

2.00%

0.00%
0.00% 5.00% 10.00% 15.00% 20.00%
 Risk/SD/Volatility)
0.3 1 1 -1 or P- Hedge 0 0.5
20.00% 20.0% 20.00% 20.00% 20.00% 20.00% 20.00%
18.40% 19.2% 19.20% 16.80% 16.80% 18.04% 18.63%
16.88% 18.4% 18.40% 13.60% 13.60% 16.18% 17.33%
15.47% 17.6% 17.60% 10.40% 10.40% 14.46% 16.10%
14.20% 16.8% 16.80% 7.20% 7.20% 12.92% 14.99%
13.11% 16.0% 16.00% 4.00% 4.00% 11.66% 14.00%
12.26% 15.2% 15.20% 0.80% 0.80% 10.76% 13.17%
11.70% 14.4% 14.40% 2.40% 2.40% 10.32% 12.53%
11.45% 13.6% 13.60% 5.60% 5.60% 10.40% 12.11%
11.56% 12.8% 12.80% 8.80% 8.80% 10.98% 11.93%
12.00% 12.0% 12.00% 12.00% 12.00% 12.00% 12.00%

Portfolio Risk
 p2  wD2  D2  wE2 E2  2wD wE CovrD , rE 

SP
0.34
0.38
0.39
0.422577

1; Equity; 13%
 1; Equity; 13%

934

Risk and Return

Debt
Equity
RF
Linear (RF)
Min Variance Portfolio
Portfolio B
C
MVE

20.00% 25.00%
 14.00%

12.00%

10.00%

8.00% Corealtion 0.3

Corealtion +1
6.00% Corellation-1
Corelation 0
4.00%

2.00%

0.00%
0.00% 5.00% 10.00% 15.00% 20.00% 25.00%

ovrD , rE 
 Debt Equity
Expected return, E(r ) 8% 13%
Standard deviation, σ 12% 20%
Covariance, Cov(rD, rE) 0.0072
Correlation coefficient, ρDE 0.3
WD
WE
Exp R
Risk

Others For Perfect Hedge

Phi = 0.30 Phi = 0 Phi = -1 Solver
0.820 0.735 0.625 0.625
0.180 0.265 0.375 0.375
8.90% 9.32% 9.88% 0.0988
11.45% 10.29% 0.00% 10.61%

Sharpe Ratio
E ( rP )  r f
SP 
P
Rf 5.00 Debt Equity Portfolio Return Risk/SD SR
Portfolio A 82% 18% 8.90 11.45 0.340611
Portfolio B 70% 30% 9.50 11.70 0.384615
Risk-free rate 5% Excess Returns

Debt Equity Debt

Expected return, E(r ) 8% 13% 3%
Standard deviation, σ 12% 20%
Covariance, Cov(rD, rE) 0.01
Correlation coefficient, ρDE 0.3

Weight of D
Weight of Equity
The Optimal Complete Portfolio will
An investor with a
A
1
2
3
4
5
6
7
8
9
10
 Portfolio of Debt-Equity (no short-selling
w (Debt-weight) 1-w (Equity weight)
0 1
0.1 0.9
Equity 0.2 0.8
8% 0.3 0.7
Mean Var Eff Portfolio 0.4 0.6
0.5 0.5
0.6 0.4
0.7 0.3
0.8 0.2
0.9 0.1
1 0
MVE Portfolio 0.399999999 0.600000001
Min Variance Portfolio 0.82000 0.18000

0.000624 Portfolio of Debt and Equity: Optimal Risky Portfolio

0.00156 0.4 0.6
0.4
0.6

CAPITAL ALLOCATION LINE

0.000624 w_MVE w_riskfree
0.001560 0 1
0.4 0.1 0.9
0.6 0.2 0.8
0.3 0.7
0.4 0.6
0.5 0.5
0.6 0.4
0.7 0.3
0.8 0.2
0.9 0.1
1 0
1.1 -0.1
1.2 -0.2
1.3 -0.3
1.4 -0.4
 1.5 -0.5
1.6 -0.6
1.7 -0.7

mal Complete Portfolio will depend upon investors risk aversion cpefficent
An investor with a coefficient of risk aversion A = 4 would take a position as shown in graph
Weight of Risky Assets Weight of RF Expected Returns SD
2.9762 -1.9762 22.86% 42.26%
1.4881 -0.4881 13.93% 21.13%
0.9921 0.0079 10.95% 14.09%
0.7440 0.2560 9.46% 10.56%
0.5952 0.4048 8.57% 8.45%
0.4960 0.5040 7.98% 7.04%
0.4252 0.5748 7.55% 6.04%
0.3720 0.6280 7.23% 5.28%
0.3307 0.6693 6.98% 4.70%
0.2976 0.7024 6.79% 4.23%
 18.00%
E[r] Variance Standard Deviation Sharpe ratio
13.00% 0.04000 20.00% 0.4000 16.00%
12.50% 0.03384 18.40% 0.4077
14.00%
12.00% 0.02848 16.88% 0.4148
11.50% 0.02392 15.47% 0.4203
12.00%
11.00% 0.02016 14.20% 0.4226
10.50% 0.01720 13.11% 0.4194 10.00%
10.00% 0.01504 12.26% 0.4077
9.50% 0.01368 11.70% 0.3847 8.00%
9.00% 0.01312 11.45% 0.3492
8.50% 0.01336 11.56% 0.3028 6.00%
8.00% 0.01440 12.00% 0.2500
11.00% 0.02016 14.20% 0.4226 4.00%

8.90% 0.01310 11.45% 0.3407

2.00%

0.00%
timal Risky Portfolio 10.00%
11.00% 0.02016 14.20% 0.4226 -2.00%

E[r] Variance Standard Deviation Sharpe Ratio

0.050 0.000 0.000 #DIV/0!
0.055 0.000 0.012 0.4077
0.060 0.001 0.025 0.4077
0.065 0.001 0.037 0.4077
0.070 0.002 0.049 0.4077
0.075 0.004 0.061 0.4077
0.080 0.005 0.074 0.4077
0.085 0.007 0.086 0.4077
0.090 0.010 0.098 0.4077
0.095 0.012 0.110 0.4077
0.100 0.015 0.123 0.4077
0.105 0.018 0.135 0.4077
0.110 0.022 0.147 0.4077
0.115 0.025 0.159 0.4077
0.120 0.029 0.172 0.4077
 0.125 0.034 0.184 0.4077
0.130 0.039 0.196 0.4077
0.135 0.043 0.208 0.4077

n graph
18.00%

16.00%

14.00%
Eqquity
12.00%
Min Var Eff Portfolio
10.00%
Min Var Port
8.00% Debt

6.00%

4.00%

2.00%

0.00%
10.00% 12.00% 14.00% 16.00% 18.00% 20.00% 22.00% 24.0
-2.00%
Eqquity

Opportunity Set of Risky Assets

Debt

Eqquity

Rf Rate

Min Var Eff Portfolio

Min Var Port

% 22.00% 24.00% 26.00% 28.00% 30.00%

 Adjusted closing prices Returns
Date S&P 500 MSFT WBA TSLA S&P 500 MSFT WBA TSLA
Dec-2010 1257.640 23.976 34.563 26.630
Jan-2011 1286.120 23.822 35.876 24.100 2.265% -0.645% 3.799% -9.501%
Feb-2011 1327.220 22.969 38.608 23.890 3.196% -3.581% 7.616% -0.871%
Mar-2011 1325.830 21.940 35.757 27.750 -0.105% -4.477% -7.383% 16.157%
Apr-2011 1363.610 22.398 38.055 27.600 2.850% 2.087% 6.428% -0.541%
May-2011 1345.200 21.754 39.020 30.140 -1.350% -2.878% 2.535% 9.203%
Jun-2011 1320.640 22.615 37.974 29.130 -1.826% 3.958% -2.682% -3.351%
Jul-2011 1292.280 23.833 34.915 28.170 -2.147% 5.385% -8.055% -3.296%
Aug-2011 1218.890 23.283 31.681 24.740 -5.679% -2.307% -9.263% -12.176%
Sep-2011 1131.420 21.786 29.594 24.390 -7.176% -6.429% -6.589% -1.415%
Oct-2011 1253.300 23.309 29.873 29.370 10.772% 6.991% 0.943% 20.418%
Nov-2011 1246.960 22.559 30.548 32.740 -0.506% -3.220% 2.259% 11.474%
Dec-2011 1257.600 22.894 29.950 28.560 0.853% 1.486% -1.957% -12.767%
Jan-2012 1312.410 26.042 30.221 29.070 4.358% 13.752% 0.907% 1.786%
Feb-2012 1365.680 28.175 30.237 33.410 4.059% 8.192% 0.051% 14.929%
Mar-2012 1408.470 28.637 30.538 37.240 3.133% 1.638% 0.995% 11.464%
Apr-2012 1397.910 28.424 31.969 33.130 -0.750% -0.744% 4.688% -11.037%
May-2012 1310.330 26.082 28.022 29.500 -6.265% -8.240% -12.348% -10.957%
Jun-2012 1362.160 27.333 27.159 31.290 3.955% 4.796% -3.080% 6.068%
Jul-2012 1379.320 26.332 33.384 27.420 1.260% -3.661% 22.921% -12.368%
Aug-2012 1406.580 27.720 33.088 28.520 1.976% 5.274% -0.887% 4.012%
Sep-2012 1440.670 26.767 33.717 29.280 2.424% -3.439% 1.902% 2.665%
Oct-2012 1412.160 25.670 32.597 28.130 -1.979% -4.099% -3.321% -3.928%
Nov-2012 1416.180 24.140 31.632 33.820 0.285% -5.961% -2.961% 20.228%
Dec-2012 1426.190 24.221 34.524 33.870 0.707% 0.338% 9.142% 0.148%
Jan-2013 1498.110 24.892 37.276 37.510 5.043% 2.771% 7.971% 10.747%
Feb-2013 1514.680 25.418 38.442 34.830 1.106% 2.114% 3.129% -7.145%
Mar-2013 1569.190 26.159 44.771 37.890 3.599% 2.914% 16.463% 8.786%
Apr-2013 1597.570 30.264 46.489 53.990 1.809% 15.694% 3.838% 42.491%
May-2013 1630.740 32.134 45.098 97.760 2.076% 6.177% -2.991% 81.071%
Jun-2013 1606.280 31.802 41.737 107.360 -1.500% -1.032% -7.454% 9.820%
Jul-2013 1685.730 29.316 47.450 134.280 4.946% -7.817% 13.688% 25.075%
Aug-2013 1632.970 30.969 45.683 169.000 -3.130% 5.639% -3.724% 25.856%
Sep-2013 1681.550 30.858 51.128 193.370 2.975% -0.359% 11.920% 14.420%
Oct-2013 1756.540 32.833 56.298 159.940 4.460% 6.400% 10.112% -17.288%
Nov-2013 1805.810 35.623 56.554 127.280 2.805% 8.498% 0.455% -20.420%
Dec-2013 1848.360 34.951 54.873 150.430 2.356% -1.888% -2.973% 18.188%
Jan-2014 1782.590 35.352 54.787 181.410 -3.558% 1.149% -0.157% 20.594%
Feb-2014 1859.450 36.060 65.227 244.810 4.312% 2.001% 19.056% 34.948%
Mar-2014 1872.340 38.583 63.384 208.450 0.693% 6.996% -2.826% -14.852%
Apr-2014 1883.950 38.027 65.179 207.890 0.620% -1.439% 2.832% -0.269%
May-2014 1923.570 38.807 69.351 207.770 2.103% 2.052% 6.400% -0.058%
Jun-2014 1960.230 39.528 71.492 240.060 1.906% 1.856% 3.087% 15.541%
 Jul-2014 1930.670 40.912 66.322 223.300 -1.508% 3.501% -7.231% -6.982%
Aug-2014 2003.370 43.332 58.686 269.700 3.766% 5.917% -11.515% 20.779%
Sep-2014 1972.290 44.219 57.473 242.680 -1.551% 2.047% -2.065% -10.019%
Oct-2014 2018.050 44.782 62.273 241.700 2.320% 1.273% 8.352% -0.404%
Nov-2014 2067.560 45.890 66.866 244.520 2.453% 2.474% 7.374% 1.167%
Dec-2014 2058.900 44.585 74.263 222.410 -0.419% -2.845% 11.063% -9.042%
Jan-2015 1994.990 38.778 71.875 203.600 -3.104% -13.025% -3.215% -8.457%
Feb-2015 2104.500 42.389 81.311 203.340 5.489% 9.312% 13.129% -0.128%
Mar-2015 2067.890 39.305 82.877 188.770 -1.740% -7.275% 1.926% -7.165%
Apr-2015 2085.510 47.019 81.164 226.050 0.852% 19.626% -2.067% 19.749%
May-2015 2107.390 45.593 84.343 250.800 1.049% -3.033% 3.916% 10.949%
Jun-2015 2063.110 42.956 82.967 268.260 -2.101% -5.783% -1.631% 6.962%
Jul-2015 2103.840 45.437 94.944 266.150 1.974% 5.776% 14.436% -0.787%
Aug-2015 1972.180 42.622 85.374 249.060 -6.258% -6.195% -10.080% -6.421%
Sep-2015 1920.030 43.347 81.971 248.400 -2.644% 1.700% -3.986% -0.265%
Oct-2015 2079.360 51.554 83.529 206.930 8.298% 18.934% 1.901% -16.695%
Nov-2015 2080.410 53.588 83.255 230.260 0.050% 3.944% -0.329% 11.274%
Dec-2015 2043.940 54.702 84.374 240.010 -1.753% 2.079% 1.345% 4.234%
Average Monthly Re 0.868% 1.573% 1.763% 4.877%
Average Anualised 10.421% 18.874% 21.162% 58.520%
Monthly SD 3.38% 6.30% 7.48% 16.63%
Annual SD 40.52% 75.63% 89.77% 199.58%
 Assets
S&P 500
MSFT
WBA
TSLA

-0.0950055987610063 R.F Rate

Equally Weihted Portfolio

Assets
S&P 500
MSFT
WBA
TSLA
SUM

Exp Return
SD
SR

Optimal Riskyt Portfolio Weihts

Assets
S&P 500
MSFT
WBA
TSLA
SUM

Exp Return
SD
SR

If Risk Aversion is 7, Portion of Risky Assets

7
Global Min Variance Portfolio
Assets
S&P 500
MSFT
WBA
TSLA
SUM

Exp Return
SD
SR

Weight of GMVP
1
0.9
0.8
0.7
0.6
0.5
0.4
0.3
0.2
0.1
0
-0.1
-0.2
-0.3
-0.4
-0.5
-0.6
-0.7
-0.8
-0.9
-1
-1.1
-1.2
-1.3
-1.4
-1.5
-1.6
-1.7
-1.8
-1.9
 -2
-2.1
-2.2
-2.3
-2.4
-2.5
 Exp Returns Risk
10.4% 40.5%
18.9% 75.6% S&P 500
21.2% 89.8% MSFT
58.5% 199.6% WBA
TSLA
3.00%
S&P 500
S&P 500 0.01345738
MSFT 0.01274848
WBA 0.01546889
TSLA 0.01348613

eihted Portfolio
Weight
0.25
0.25
0.25
0.25
1.00 S&P 500
S&P 500 1
27.244% MSFT 0.50761854
19.22% WBA 0.51891415
1.26132858992112 TSLA 0.20348581

skyt Portfolio Weihts

Weight
0.00
0.38
0.39
0.23
1.00

28.882% 28.882%
20.01%
1.29372848075531

0.923829524938783
n Variance Portfolio
Weight
1.03
0.01
-0.04
0.00
1.00

10.008%
11.56%
0.60615851834091

Weight of MVEP Returns SD SR

0 0.100078144002941 0.1171451688254 0.598216
0.1 0.118952244219004 0.1074616338336 0.827758
0.2 0.137826344435066 0.1021801537189 1.055257
0.3 0.156700444651128 0.1019869294693 1.24232
0.4 0.175574544867191 0.1069095536044 1.361661
0.5 0.194448645083253 0.1163002167752 1.414001
0.6 0.213322745299316 0.1291882235066 1.419036
0.7 0.232196845515378 0.1446417044437 1.397915
0.8 0.25107094573144 0.1619278145863 1.365244
0.9 0.269945045947503 0.1805208589327 1.329182
1 0.288819146163565 0.2000567739009 1.293728
1.1 0.307693246379627 0.2202848473187 1.26061
1.2 0.32656734659569 0.2410308777596 1.230412
1.3 0.345441446811752 0.2621719340617 1.203185
1.4 0.364315547027815 0.283619694109 1.178746 MVP;
1.5 0.383189647243877 0.305309527634 1.156825
1.6 0.402063747459939 0.3271932966038 1.137137
1.7 0.420937847676002 0.3492345457161 1.119413
1.8 0.439811947892064 0.371405238791 1.103409 Global M
1.9 0.458686048108126 0.3936835071247 1.08891
2 0.477560148324189 0.4160520701347 1.075731
2.1 0.496434248540251 0.4384971097345 1.063711 0
2.2 0.515308348756314 0.4610074558273 1.052713
2.3 0.534182448972376 0.4835739884568 1.042617
2.4 0.553056549188439 0.5061891930853 1.033322
2.5 0.571930649404501 0.5288468256324 1.02474
2.6 0.590804749620563 0.5515416572367 1.016795
2.7 0.609678849836626 0.5742692776512 1.00942
2.8 0.628552950052688 0.5970259422683 1.002558
2.9 0.64742705026875 0.6198084519668 0.996158
 3 0.666301150484813 0.642614057906 0.990176
3.1 0.685175250700875 0.6654403854652 0.984574
3.2 0.704049350916938 0.6882853730092 0.979317
3.3 0.722923451133 0.7111472222329 0.974374
3.4 0.741797551349062 0.7340243576214 0.969719
3.5 0.760671651565125 0.7569153931412 0.965328
Cov Matrices

S&P 500 MSFT WBA TSLA

0.00112145 0.00106237 0.00128907 0.001124
0.00106237 0.00390571 0.00128907 0.001124
0.00128907 0.00028467 0.00550282 0.000121
0.00112384 0.00164027 0.00012091 0.0272
Cov Matrices (Anualised)
MSFT WBA TSLA
0.01274848 0.01546889 0.01348613
0.04686851 0.01546889 0.01348613
0.003416 0.06603387 0.00145093
0.01968322 0.00145093 0.32639665

Correlation Matrices
MSFT WBA TSLA
0.50761854 0.51891415 0.20348581
1 0.06140366 0.15914124
0.06140366 1 0.00988301
0.15914124 0.00988301 1
 0.01325155
0.01347987
0.00017863
Variance
Variance/Covariance matrix
GMV MVE
GMV 0.0134 0.0002
MVE 0.0002 0.040

Covariance 0.0002
Corrleation 0.0077

TSLA

MVP; 28.882%

WBA
MSFT

Global MVP

0 0.5 1 1.5 2 2.5

 RETURN DEVIATION
US 0.1355 0.1535
UK 0.1589 0.2430
France 0.1519 0.2324
Germany 0.1435 0.2038
Japan 0.1497 0.2298

Risk-free rate 0.0500

 US UK France
US 1.0000 0.5003 0.4398
UK 0.5003 1.0000 0.5420
France 0.4398 0.5420 1.0000
Germany 0.3681 0.4265 0.6032
Japan 0.2663 0.3581 0.3923
Germany Japan
0.3681 0.2663
0.4265 0.3581
0.6032 0.3923
1.0000 0.3663
0.3663 1.0000
 RETURN DEVIATION
US 0.1355 0.1535
UK 0.1589 0.2430
France 0.1519 0.2324
Germany 0.1435 0.2038
Japan 0.1497 0.2298

Risk-free rate 0.0500

Step 1: Covariance Martix

Step 2: Min Var Eff P or Optimal Risky Portoflio

Equal Weighted Portfolio

Portfolio Wieghts
US 0.200
UK 0.200
France 0.200
Germany 0.200
Japan 0.200
Sum 1.000
Expected return 0.1479
Standard Deviation 0.1573
Sharpe Ratio 0.6225

Portfolio Weights 0.507 0.075

US UK
0.507 US 0.0236 0.0187
0.075 UK 0.0187 0.0590
0.024 France 0.0157 0.0306
0.190 Germany 0.0115 0.0211
0.204 Japan 0.0094 0.0200

Expected return 0.1421

Standard Deviation 0.1386
Sharpe ratio 0.6644

Global Minimum Variance (GMV) Portfolio

Portfolio Wieghts
US 0.635
UK -0.016
France -0.015
Germany 0.216
Japan 0.181
Expected return 0.1392
Standard Deviation 0.1364
Sharpe Ratio 0.6539

GMV_weight MVE_Weight Expected return

-1.1 2.1 0.1452
-1 2 0.1449
-0.9 1.9 0.1447
-0.8 1.8 0.1444
-0.7 1.7 0.1441
-0.6 1.6 0.1438
-0.5 1.5 0.1435
-0.4 1.4 0.1432
-0.3 1.3 0.1429
-0.2 1.2 0.1426
-0.1 1.1 0.1423
0 1 0.1421
0.1 0.9 0.1418
0.2 0.8 0.1415
0.3 0.7 0.1412
0.4 0.6 0.1409
0.5 0.5 0.1406
0.6 0.4 0.1403
0.7 0.3 0.1400
0.8 0.2 0.1397
0.9 0.1 0.1395
1 0 0.1392
1.1 -0.1 0.1389
1.2 -0.2 0.1386
1.3 -0.3 0.1383
1.4 -0.4 0.1380
1.5 -0.5 0.1377
1.6 -0.6 0.1374
1.7 -0.7 0.1371
1.8 -0.8 0.1369
1.9 -0.9 0.1366
2 -1 0.1363
2.1 -1.1 0.1360
 Corellation Matrices
US UK France
US 1.0000 0.5003 0.4398
UK 0.5003 1.0000 0.5420
France 0.4398 0.5420 1.0000
Germany 0.3681 0.4265 0.6032
Japan 0.2663 0.3581 0.3923

Covariance Martix
US UK France
US 0.0236 0.0187 0.0157
UK 0.0187 0.0590 0.0306
France 0.0157 0.0306 0.0540
Germany 0.0115 0.0211 0.0286
Japan 0.0094 0.0200 0.0210

Step 2 Mean Variance Efficent Portfolio Step 3 Global Min Variance Portfoli
Portfolio Wieghts Portfolio Wieghts
US 0.507 US
UK 0.075 UK
France 0.024 France
Germany 0.190 Germany
Japan 0.204 Japan
Sum 1 Sum
Expected return 0.1420597004 Expected retur
Standard Deviation 0.13855283403 Standard Deviat
Sharpe Ratio 0.66443751256 Sharpe Ratio

0.024 0.190 0.204

France Germany Japan
0.0157 0.0115 0.0094
0.0306 0.0211 0.0200
0.0540 0.0286 0.0210
0.0286 0.0415 0.0172
0.0210 0.0172 0.0528
 Mean Variance Efficient Portfolio (MVE)
Portfolio Wieghts
US 0.507
UK 0.075
France 0.024
Germany 0.190
Japan 0.204
Expected return 0.1421
Standard Deviation 0.1386
Sharpe Ratio 0.6644

Standard Deviation Sharpe ratio

0.1458 0.6533
0.1449 0.6551
0.1441 0.6568
0.1433 0.6584
0.1426 0.6597 0.146
0.1419 0.6610
0.1412 0.6620
0.1406 0.6629
0.1400 0.6635
0.144
0.1395 0.6640
0.1390 0.6643
0.1386 0.6644
0.1381 0.6643 MVE
0.1378 0.6640 0.142
0.1374 0.6635
0.1372 0.6628
0.1369 0.6618
Expected return

0.1367 0.6607
0.14
0.1366 0.6593
0.1364 0.6577
GMV
0.1364 0.6559
0.1364 0.6539
0.1364 0.6517 0.138
0.1364 0.6493
0.1366 0.6466
0.1367 0.6438
0.1369 0.6407
0.1372 0.6375 0.136

0.134
0.135 0.14
 0.136
0.1374 0.6341
0.1378 0.6305
0.1381 0.6267
0.1386 0.6227 0.134
0.1390 0.6186 0.135 0.14
 Germany Japan
0.3681 0.2663
0.4265 0.3581
0.6032 0.3923
1.0000 0.3663
0.3663 1.0000

Germany Japan
0.0115 0.0094
0.0211 0.0200
0.0286 0.0210
0.0415 0.0172
0.0172 0.0528

Step 3 Global Min Variance Portfolio

Portfolio Wieghts
0.635
-0.016
-0.015
0.216
0.181
1.000
0.1392
0.1364
0.6539
 Variance/Covariance matrix
GMV MVE
GMV 0.0186 0.0186
MVE 0.0186 0.019

Covariance 0.0186
Corrleation 0.9842

0.1363608701 GMV*MVE
0.1363608701 MVE*GMV
0.0185943

MVE

GMV

1; US; 0.1355

0.14 0.145 0.15 0.155

 1; US; 0.1355

0.14 0.145 0.15 0.155

Standard deviation
1; US; 0.1355

0.155
1; US; 0.1355

0.155
 0.148

0.146

0.144

MVE
0.142

0.14
Expected return

GMV

0.138

0.136

0.134

0.132

0.13
0.134 0.136 0.138 0.14 0.142 0.144 0.146 0.148

Standard deviation